The 27-year-old striker has been on loan at the New Den for the past couple of months and has already scored four goals in seven games to transform Kenny Jackett's side into challengers for promotion.
Kandol, who is due back at Elland Road in January, cannot play against his parent club today due to the terms of his loan deal.
But he said: "I will be sitting on the sidelines hoping Millwall win. Right now, I am wearing the Millwall kit, with the Millwall badge - and for me that means backing them.
"The way I see it, you can't expect the other badge to be winning. I am frustrated at not being able to play. I wish I had the chance to be on the pitch. "But we all knew it would be like this when I came here. The boys will just have to do what is needed. They have nothing to be afraid of."